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Autoregressive conditional heteroskedasticity and changes in regime
ARCH models often impute a lot of persistence to stock volatility and yet give relatively poor forecasts. One explanation is that extremely large shocks, such as the October 1987 crash, arise fromExpand
Volatility and Cross Correlation Across Major Stock Markets
Several papers have documented the fact that correlations across major stock markets are higher when markets are more volatile - this is done by comparing unconditional correlations over sub-periodsExpand
Common Volatility in International Equity Markets
In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a testExpand
Hourly volatility spillovers between international equity markets
Abstract This paper examines the timing of mean and volatility spillovers between New York and London equity markets. Using an ARCH model it is found that the evidence of volatility spilloversExpand
Who is the more overconfident trader? Individual vs. institutional investors
Guided by the Gervais and Odean (2001) overconfident trading hypothesis, we comprehensively investigate the trading behavior of individual vs. institutional investors in Taiwan in an attempt toExpand
Interest-Rate Volatility in Emerging Markets
We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. OurExpand
Regime-Switching Stochastic Volatility and Short-Term Interest Rates
In this paper, we introduce regime-switching in a two-factor stochastic volatility model to explain the behavior of short-term interest rates. The regime-switching stochastic volatility (RSV) processExpand
Switching Volatility in International Equity Markets
In this paper, we analyze the behavior of time-varying volatility, when structural changes are allowed in international stock markets. We use a recent model developed by Hamilton and Susmel (1994),Expand
Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s
In this paper we use high frequency interest rate data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understandingExpand
Pairs-Trading in the Asian ADR Market
In this paper, we study pairs-trading strategies for 64 Asian shares listed in their local markets and listed in the U.S. as ADRs. Given that all pairs are cointegrated, they are logical choice forExpand